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If Zero defeats one Einherji in "bad" weather, he will earn his EX-Skill, that is a weapon that upgrades either the Saber or the Buster also adding one of three elements: Thunder, Flame or Ice. Unlike the previous installments of the Mega Man Zero series, there are no Elemental chips in Mega Man Zero 4. Instead, each EX-Skill has the element embedded in itself. Zero can activate all Saber EX-Skills, but only one Buster EX-Skill at the same time. Each one of the three elements is effective against another one.

Thunder Einherjar Thunder EX-Skills Flame Einherjar
Mino Magnus Tractor Shot (buster) Sol Titanion
Pegasolta Eclair Thunder Stab (dashing saber) Heat Genblem

The Tractor Shot deals very limited damage, but it's very useful against the sub-boss in Sol Titanion 's stage. The Thunder Stab is only effective against Heat Genblem, because Sol Titanion is almost always out of its range.

Flame Einherjar Flame EX-Skills Ice Einherjar
Sol Titanion Burning Shot (buster) Fenri Lunaedge
Heat Genblem Flame Fang (rising saber) Tech Kraken

Both EX-Skills are effective against both Einherjar. The fight against Tech Kraken is verticalized, so the Flame Fang can be more useful there, while the Burning Shot can be more useful against Fenri Lunaedge.

Ice Einherjar Ice EX-Skills Thunder Einherjar
Fenri Lunaedge Ice Blade (shooting saber) Pegasolta Eclair
Tech Kraken Ice Javelin (buster) Mino Magnus

It's hard to hit Mino Magnus with the slow Ice Javelin, but he's out of range for the Ice Blade. Although it's hard to hit Pegasolta Eclair with the Ice Blade, it's almost impossible to hit him with the slow Ice Javelin.

Neutral Einherjar Neutral EX-Skills
Noble Mandrago Sky Chaser (downwards saber)
Popla Cocapetri Time Stopper (buster)

Both these EX-Skills are equally effective against any of the eight Einherjar, while the two non-elemental Einherjar are equally resistant against any of the eight EX-Skills.